Robust Budget Pacing with a Single Sample

Abstract:Major Internet advertising platforms offer budget pacing tools as a standard service for advertisers to manage their ad campaigns. Given the inherent non-stationarity in an advertiser's value and also competing advertisers' values over time, a commonly used approach is to learn a target expenditure plan that specifies a target spend as a function of time, and then run a controller that tracks this plan. This raises the question: how many historical samples are required to learn a good expenditure plan? We study this question by considering an advertiser repeatedly participating in $T$ second-price auctions, where the tuple of her value and the highest competing bid is drawn from an unknown time-varying distribution. The advertiser seeks to maximize her total utility subject to her budget constraint. Prior work has shown the sufficiency of $T\log T$ samples per distribution to achieve the optimal $O(\sqrt{T})$-regret. We dramatically improve this state-of-the-art and show that just one sample per distribution is enough to achieve the near-optimal $\tilde O(\sqrt{T})$-regret, while still being robust to noise in the sampling distributions.

Machine Learning (cs.LG); Data Structures and Algorithms (cs.DS); Optimization and Control (math.OC)

arXiv:2302.02006 [cs.LG]

(or arXiv:2302.02006v2 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2302.02006 Focus to learn more arXiv-issued DOI via DataCite

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